| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | 22.58% | 22.88% |
| CAGR﹪ | 107.21% | 109.02% |
| Sharpe | 3.18 | 1.58 |
| Prob. Sharpe Ratio | 90.18% | 64.05% |
| Smart Sharpe | 2.78 | 1.37 |
| Sortino | 5.31 | 2.7 |
| Smart Sortino | 4.62 | 2.35 |
| Sortino/√2 | 3.75 | 1.91 |
| Smart Sortino/√2 | 3.27 | 1.66 |
| Omega | 1.75 | 1.75 |
| Max Drawdown | -10.72% | -14.76% |
| Longest DD Days | 11 | 52 |
| Volatility (ann.) | 20.0% | 46.16% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 10.0 | 7.39 |
| Skew | -0.05 | 2.07 |
| Kurtosis | 1.98 | 25.46 |
| Expected Daily | 0.27% | 0.28% |
| Expected Monthly | 4.16% | 4.21% |
| Expected Yearly | 22.58% | 22.88% |
| Kelly Criterion | 23.0% | 36.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.79% | -4.47% |
| Expected Shortfall (cVaR) | -1.79% | -4.47% |
| Max Consecutive Wins | 4 | 8 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.86 | 0.6 |
| Gain/Pain (1M) | 23.94 | 80.22 |
| Payoff Ratio | 1.31 | 1.61 |
| Profit Factor | 1.86 | 1.6 |
| Common Sense Ratio | 2.88 | 1.6 |
| CPC Index | 1.37 | 1.57 |
| Tail Ratio | 1.55 | 1.0 |
| Outlier Win Ratio | 5.14 | 3.88 |
| Outlier Loss Ratio | 5.44 | 3.17 |
| MTD | 0.48% | 0.11% |
| 3M | 23.67% | 23.29% |
| 6M | 22.58% | 22.88% |
| YTD | 22.58% | 22.88% |
| 1Y | 22.58% | 22.88% |
| 3Y (ann.) | 107.21% | 109.02% |
| 5Y (ann.) | 107.21% | 109.02% |
| 10Y (ann.) | 107.21% | 109.02% |
| All-time (ann.) | 107.21% | 109.02% |
| Best Day | 4.31% | 18.48% |
| Worst Day | -3.92% | -12.81% |
| Best Month | 13.62% | 13.53% |
| Worst Month | -0.88% | -0.34% |
| Best Year | 22.58% | 22.88% |
| Worst Year | 22.58% | 22.88% |
| Avg. Drawdown | -1.55% | -3.32% |
| Avg. Drawdown Days | 4 | 14 |
| Recovery Factor | 2.11 | 1.55 |
| Ulcer Index | 0.03 | 0.07 |
| Serenity Index | 1.3 | 0.45 |
| Avg. Up Month | 5.57% | 5.49% |
| Avg. Down Month | -0.88% | -0.34% |
| Win Days | 56.34% | 60.81% |
| Win Month | 80.0% | 80.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.17 | - |
| Alpha | 0.57 | - |
| Correlation | 39.81% | - |
| Treynor Ratio | 90.32% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 22.88 | 22.58 | 0.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-21 | 2025-11-01 | -10.72 | 11 |
| 2025-09-12 | 2025-09-22 | -1.95 | 10 |
| 2025-08-11 | 2025-08-22 | -1.54 | 11 |
| 2025-09-30 | 2025-10-03 | -1.49 | 3 |
| 2025-09-24 | 2025-09-29 | -1.24 | 5 |
| 2025-07-23 | 2025-08-01 | -1.08 | 9 |
| 2025-08-25 | 2025-08-27 | -0.67 | 2 |
| 2025-10-09 | 2025-10-10 | -0.63 | 1 |
| 2025-08-28 | 2025-08-29 | -0.29 | 1 |
| 2025-08-04 | 2025-08-05 | -0.19 | 1 |